Doob's stopping theorem for fuzzy (super, sub) martingales with discrete time

Authors:
Weiyin Fei;Rangquan Wu;Shihuang Shao
Affiliations:
Glorious Sun School of Business and Management, Donghua University, 200051 Shanghai, People's Republic of China;Department of Applied Mathematics, Donghua University, 200051 Shanghai, People's Republic of China;School of Information and Technology, Donghua University, 200051 Shanghai, People's Republic of China
Venue:
Fuzzy Sets and Systems - Non-additive measures and random processes
Year:
2003

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Abstract

Fuzzy random variables are introduced as random variables whose values are not reals but fuzzy sets. The concepts of fuzzy conditional expectation and fuzzy (super, sub) martingales are given. In this paper we study Doob's stopping theorem on fuzzy (super, sub) martingales with discrete parameters.